Tested propositions from a model of vulnerability and protective factors with a multiethnic sample of 1,289 urban adolescents, aged 11-13 years. The criterion variable was a composite score for cigarette, alcohol, and marijuana use. Multiple regression analyses indicated that vulnerability factors (negative life events, negative affect) were related to a higher level of substance use, and protective factors (parent emotional and instrumental support, academic and adult competence, positive affect) were related to a lower level of substance use; peer competence was positively related to substance use in a multivariate model. There was a significant overall interaction of Vulnerability x Protective Factors, consistent with a stress-buffering effect. Individual interactions for Life Events x Family Support, Life Events x Competence, and Negative x Positive Affect also were consistent with buffering effects. Implications for theories of substance use and primary prevention are discussed.